| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11538 |
| 来源ID | Working Paper 11538 |
| Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? | |
| Andrew Ang; Geert Bekaert; Min Wei | |
| 发表日期 | 2005-08-08 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also investigate several optimal methods of combining forecasts. Our results show that surveys outperform the other forecasting methods and that the term structure specifications perform relatively poorly. We find little evidence that combining forecasts using means or medians, or using optimal weights with prior information produces superior forecasts to survey information alone. When combining forecasts, the data consistently places the highest weights on survey information. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w11538 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569182 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Geert Bekaert,Min Wei. Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11538.pdf（435KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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